A recursive method for discretely monitored geometric Asian option prices

Bara Kim; Jeongsim Kim; Jerim Kim; In Suk Wee

doi:10.4134/BKMS.b150283

A recursive method for discretely monitored geometric Asian option prices

Bara Kim, Jeongsim Kim, Jerim Kim, In Suk Wee

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit for- mula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.

Original language	English
Pages (from-to)	733-749
Number of pages	17
Journal	Bulletin of the Korean Mathematical Society
Volume	53
Issue number	3
DOIs	https://doi.org/10.4134/BKMS.b150283
State	Published - 2016

Keywords

Discrete monitoring
Generalized Fourier transform
Geometric Asian option
Heston model

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10.4134/BKMS.b150283

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title = "A recursive method for discretely monitored geometric Asian option prices",

abstract = "We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit for- mula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.",

keywords = "Discrete monitoring, Generalized Fourier transform, Geometric Asian option, Heston model",

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AU - Kim, Bara

AU - Kim, Jeongsim

AU - Kim, Jerim

AU - Wee, In Suk

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N2 - We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit for- mula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.

AB - We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit for- mula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.

KW - Discrete monitoring

KW - Generalized Fourier transform

KW - Geometric Asian option

KW - Heston model

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DO - 10.4134/BKMS.b150283

M3 - Article

AN - SCOPUS:84971382215

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JO - Bulletin of the Korean Mathematical Society

JF - Bulletin of the Korean Mathematical Society

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A recursive method for discretely monitored geometric Asian option prices

Abstract

Keywords

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